We investigate whether the daily evolution of the term structure of petroleum futures can be forecasted. To this end, the principal components analysis is employed. The retained principal components describe the dynamics of the term structure of futures prices parsimoniously and are used to...

We address the question whether the evolution of implied volatility can be forecasted by studying a number of European and U.S. implied volatility indices. Both point and interval forecasts are formed by alternative model specifications. The statistical and economic significance of these...

We explore the ability of alternative popular continuous-time diffusion and jump diffusion processes to capture the dynamics of implied volatility indices over time. The performance of the various models is assessed under both econometric and financial metrics. To this end, data are employed...

There is a growing literature on implied volatility indices in developed markets. However, no research has been conducted in the context of emerging markets. In this paper, an implied volatility index (GVIX) is constructed for the fast developing Greek derivatives market. Next, the properties of...

This paper examines the systematic relationship between correlation mis-estimation and the corresponding Value-at-Risk (VaR) mis-calculation. To this end, first a semi-parametric approach, and then a parametric approach is developed. Both approaches are based on a simulation setup. Various...

The developing literature on quot;smile-consistentquot; no-arbitrage models has emerged from the need to price and hedge exotic options consistently with the prices of standard European options. This survey paper describes the steps through which this literature has evolved by providing a...

Volatility changes stochastically over time. This has implications for option pricing and risk management and it has motivated the development of stochastic volatility option pricing models. The fundamental building block of these models is the stochastic process that is used to model the...

Motivated by the papers of Dupire (1992) and Derman and Kani (1997), we want to investigate the number of shocks that move the whole implied volatility surface, their interpretation and their correlation with percentage changes in the underlying asset. This work differs from Skiadopoulos, Hodges...

This empirical study is motivated by the models of Dupire (1992) and Derman and Kani (1997). We investigate the number and shape of shocks that move implied volatility smiles and subsequently we look at the correlation of changes in volatility with changes in the underlying asset. We achieve...